Thief II is a must-play if you enjoyed Thief, they expand so much on the gameplay that you will be very content.
Deadly Shadows on the other hand, while being a nice game in itself, does not exactly fit into the same niche as the first two installements of the series. It's a lot more -not inherently bad- Splinter Cell to it, and they removed the Rope Arrows :cry:
Still a great story though.